Proceedings of the 2019 7th International Conference on Modeling, Development and Strategic Management of Economic System (MDSMES 2019)

Recurrence entropy and financial crashes

Authors
Vladimir Soloviev, Olexandr Serdiuk, Serhiy Semerikov, Oksana Kohut-Ferens
Corresponding Author
Olexandr Serdiuk
Available Online October 2019.
DOI
10.2991/mdsmes-19.2019.73How to use a DOI?
Keywords
Recurrence plot, recurrence quantification analysis, recurrence entropy
Abstract

Entropy is one of the most frequently and effectively used measure of the complexity of systems of various nature. And if the Shannon's canonical entropy is more a measure of the randomness of the system, then the approximate, sample, permutation and other new type entropy that have appeared recently, exploiting the Shannon entropy form have allowed us to quantify the complexity of the systems in question using fast and efficient algorithms. For the first time, a new type of recurrence entropy is used to analyze the dynamics of financial time series under crashes conditions. It is shown that recurrent entropy can be used as the indicator-predictor of financial crashes.

Copyright
© 2019, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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Volume Title
Proceedings of the 2019 7th International Conference on Modeling, Development and Strategic Management of Economic System (MDSMES 2019)
Series
Advances in Economics, Business and Management Research
Publication Date
October 2019
ISBN
10.2991/mdsmes-19.2019.73
ISSN
2352-5428
DOI
10.2991/mdsmes-19.2019.73How to use a DOI?
Copyright
© 2019, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Cite this article

TY  - CONF
AU  - Vladimir Soloviev
AU  - Olexandr Serdiuk
AU  - Serhiy Semerikov
AU  - Oksana Kohut-Ferens
PY  - 2019/10
DA  - 2019/10
TI  - Recurrence entropy and financial crashes
BT  - Proceedings of the 2019 7th International Conference on Modeling, Development and Strategic Management of Economic System (MDSMES 2019)
PB  - Atlantis Press
SP  - 385
EP  - 388
SN  - 2352-5428
UR  - https://doi.org/10.2991/mdsmes-19.2019.73
DO  - 10.2991/mdsmes-19.2019.73
ID  - Soloviev2019/10
ER  -